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When I put the wheels on my car, before I even put a lugnt on, the wheel lug holes in the wheel are not even touching the lugs, so the lugs can't be centering anything at that point - the wheel is already centered because it's resting on the hub... Then when I tighten the lugnuts, it also helps center the lugs in the wheel lug holes "perfectly". This is why I say they are hub- and lug-centric. Both the hub and the lugnuts play a part in centering everything.
This is assuming that you are either a) using OEM wheels with the correct center bore size or b) using aftermarket wheels with correcly-sized hubrings.
I think if you are using the correct wheels, they absolutely do use the hubs to center themselves - and then the lugnuts center the lugs in the wheel lug holes even furhter. If you are using incorrect wheels, then maybe they are lug-centric, but not correctly-sized OEM wheels.
My wheels certainly do not "hang" off of the lugs when I put them on - they rest on the hubs, which centers them.